Lighting just selected objects
This feature is known as Light Linking, and it doesn't exist in Blender as of 2.81a

There is a todo item to include this in the future: https://developer.blender.org/T68915

What you can do is render in multiple view layers with only certain objects and lights together in a layer. Create multiple view layers, and enable/disable collections to include them in the view layer. The arrow icon sets a collection to 'indirect only', so the object itself is invisible, but it still contributes bounce lighting.

After rendering, the view layers need to be combined in the compositor.